Abstract
THE ABILITY to generate interest rate forecasts which are better than a simple nocharge extrapolation (the optimal forecast implied by an efficient market) is essential to the solution of the problem of timing the issuance of new bonds. A number of authors have suggested algorithms which they suggest can be used to determine the optimal time to issue new debt. However, the question that must be answered before any timing algorithm can be seriously applied is that of bond market efficiency. This thesis involves an analysis of the efficiency of the market for newly issued corporate bonds. Specifically, the market for new corporate debt is tested for its full reflection of the information contained in the time series of new issue yields (weak form information and the information contained in past errors in market anticipations. With respect to the latter source of information, the pure expectations, liquidity preference, and market segmentation hypotheses of the term structure were considered in estimating market anticipations of the six-month holding period yield on a newly issued corporate bond.
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